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Increasing weather risk: Fact of fiction?
Wang, Weining; Bobojonov, Ihtiyor; Härdle, Wolfgang Karl; … - 2011
It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this … statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel … statistical tools for assessing changes in weather risk over time. We apply local t-test, change point tests and Mann-Kendall test …
Persistent link: https://www.econbiz.de/10010281514
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang Karl; Okhrin, Yarema; Wang, Weining - 2010
Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal … with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk … testing parametric specifications of pricing kernels and has a direct extension to estimating risk aversion patterns. The …
Persistent link: https://www.econbiz.de/10010270732
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The stochastic fluctuation of the quantile regression curve
Härdle, Wolfgang Karl; Song, Song - 2008
Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknown p-quantile regression curve of Y on X. A quantile-smoother ln(x) is a localised, nonlinear estimator of l(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary...
Persistent link: https://www.econbiz.de/10010274144
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Mean volatility regressions
Lin, Lu; Li, Feng; Zhu, Lixing; Härdle, Wolfgang Karl - 2010
pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a …
Persistent link: https://www.econbiz.de/10010281538
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Local quantile regression
Härdle, Wolfgang Karl; Spokoiny, Vladimir; Wang, Weining - 2010
are offered and applications to stock market and weather analysis are presented. …
Persistent link: https://www.econbiz.de/10010281556
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A confidence corridor for expectile functions
Duran, Esra Akdeniz; Guo, Mengmeng; Härdle, Wolfgang Karl - 2010
Let (X1, Y1), ..., (Xn, Yn) be i.i.d. rvs and let v(x) be the unknown T-expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency rate is established under general conditions. In many applications it...
Persistent link: https://www.econbiz.de/10010281559
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Partial linear quantile regression and bootstrap confidence bands
Härdle, Wolfgang Karl; Ritov, Ya'acov; Song, Song - 2010
In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions. The method is based on the bootstrap, where resampling is done from a suitably estimated empirical density function (edf) for residuals. It is known that the approximation error...
Persistent link: https://www.econbiz.de/10010270724
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Robust estimation of wage dispersion with censored data: An application to occupational earnings risk and risk attitudes
Pollmann, Daniel; Dohmen, Thomas; Palm, Franz C. - 2012
-coded administrative wage data from the German IAB Employment Sample (IABS). We then relate these robust measures of earnings risk to the … risk attitudes of individuals working in these occupations. We find that willingness to take risk is positively correlated …
Persistent link: https://www.econbiz.de/10010282144
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On the systemic nature of weather risk
Filler, Guenther; Odening, Martin; Okhrin, Ostap; Xu, Wei - 2009
Systemic weather risk is a major obstacle for the formation of private (non- subsidized) crop insurance. This paper … explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather … dependencies between multivariate random variables. The estimation procedure is applied to weather data in Germany. Our results …
Persistent link: https://www.econbiz.de/10010263758
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Do output contractions trigger democratic change?
Burke, Paul J.; Leigh, Andrew - 2010
reduces the short-run likelihood of institutional change toward democracy. Output contractions due to adverse weather shocks …
Persistent link: https://www.econbiz.de/10010269675